Slippage is the difference between the price you expected and the price at which the order was actually filled. It can affect entries, stops and exits, and its cumulative impact can be meaningful for strategies with small margins.
What to track
- Expected price.
- Actual fill price.
- Difference in points/pips/ticks.
- Monetary or R impact.
- Order type.
- Time, market and volatility context.
Separate entry and exit
Entry slippage and exit slippage may have different causes. A stop filled during high volatility should not necessarily be mixed with a normal market entry.
Look for recurring patterns
Compare by instrument, session, time, news, volatility and broker/exchange when multiple venues are used. If costs cluster in specific contexts, operational changes may be worth testing.
Gross versus net P&L
A small-edge strategy can look profitable using theoretical prices and lose that edge after commissions, spread and slippage. Use net results whenever execution costs are material.
Not all slippage is avoidable
Some slippage is part of market microstructure and available liquidity. The journal’s goal is not to eliminate it completely, but to quantify it and verify that the strategy remains viable after real execution.